问题如下：
Megan Easton is a portfolio manager with Dynamo Investment Partners (Dynamo) and manages a bond portfolio that invests primarily in investment-grade corporate bonds with a limited amount of US government bonds. Easton meets with John Avelyn, a newly hired analyst, to discuss the structure and management of this investment portfolio, as well as some possible changes to the portfolio composition.
Easton begins the meeting by stating her belief that the credit spread is the single most important measure that investors use when selecting bonds. Among the various credit spread measures, including the G-spread, I-spread, and Z-spread, Easton prefers the G-spread.
Easton and Avelyn next discuss credit strategy approaches. Dynamo uses a bottom-up approach that selects bonds with the best relative value from the universe of bonds with similar characteristics. Avelyn comments on the following considerations in a bottom-up approach.
Comment 1: Callable debt has a smaller z-spread than comparable non-callable debt
Comment 2: Benchmark corporate bond issues normally have wider spreads than older bonds of the same issuer.
Comment 3: The announcement of a new corporate bond issue often leads to an increase in the credit spread on the existing bonds.
Dynamo is changing the bond portfolio’s investment constraints so that it can invest up to 20% of the assets in high-yield corporate bonds and 20% in structured financial instruments. Easton makes the following statement about these changes:
Liquidity and trading issues for high-yield bonds, such as investment-grade bonds, will be a key consideration in our security selection. Although both high-yield and investment-grade bonds are quoted as spreads over benchmark government bonds, we must be aware that dealers are likely to hold smaller inventories of high-yield bonds and their bid–offer spreads will be larger.
Avelyn makes the following statements about the differences between investment-grade and high-yield bonds.
Statement 1: When default losses are low and credit spreads are relatively tight, high-yield bonds tend to perform more like investment-grade bonds.
Statement 2: Investment-grade bonds have greater exposure to credit risk than high-yield bonds.
Statement 3: High-yield bonds have more exposure to interest rate risk than investment-grade bonds.
Two of the structured financial instruments that Easton and Avelyn are considering for Dynamo’s portfolio are collateralized debt obligations (CDOs) and covered bonds. Easton and Avelyn make the following comments about the securities.
Easton: If the correlation of the expected defaults on the CDO collateral of the senior and
subordinated tranches is positive, the relative value of the equity tranche compared with
the senior and mezzanine tranches will increase
Avelyn: Replacing a portion of the corporate bonds with CDOs will provide meaningful diversification to the investment portfolio.
Avelyn: Investing in covered bonds will give us the yield increase we are seeking compared with investing in corporate bonds or asset-backed securities.
A benefit of Easton’s preferred credit spread measure is that it:
选项：
A. provides a good measure of credit spread for bonds with optionality.
B. uses swap rates denominated in the same currency as the credit security.
C. reduces the potential for maturity mismatch.
解释：
C is correct.
The G-spread is the spread over an actual or interpolated benchmark (usually government) bond. A benefit of the G-spread is that when the maturity of the credit security differs from that of the benchmark bond, the yields of two government bonds can be weighted so that their weighted average maturity matches the credit security’s maturity.
Z-spread为什么不能消除maturity mismatch？
